Interchangeability principle and dynamic equations in risk averse stochastic programming

Published: 2017/04/28

Stochastic Programming convex risk measures, dynamic equations, interchangeability principle, strict monotonicity, time consistency, two and multistage stochastic programming Short URL: https://optimization-online.org/?p=14528

In this paper we consider interchangeability of the minimization operator with monotone risk functionals. In particular we discuss the role of strict monotonicity of the risk functionals. We also discuss implications to solutions of dynamic programming equations of risk averse multistage stochastic programming problems.

Article

Download

View Interchangeability principle and dynamic equations in risk averse stochastic programming